File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jempfin.2009.08.001
- Scopus: eid_2-s2.0-71349087496
- WOS: WOS:000273908200003
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Technology prospects and the cross-section of stock returns
Title | Technology prospects and the cross-section of stock returns |
---|---|
Authors | |
Keywords | Factor models Patents Technological innovations Tracking portfolios |
Issue Date | 2010 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin |
Citation | Journal Of Empirical Finance, 2010, v. 17 n. 1, p. 39-53 How to Cite? |
Abstract | In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. © 2009 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/141769 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.927 |
SSRN | |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hsu, PH | en_HK |
dc.contributor.author | Huang, D | en_HK |
dc.date.accessioned | 2011-09-27T03:00:41Z | - |
dc.date.available | 2011-09-27T03:00:41Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Journal Of Empirical Finance, 2010, v. 17 n. 1, p. 39-53 | en_HK |
dc.identifier.issn | 0927-5398 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/141769 | - |
dc.description.abstract | In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by U.S. patent shocks, and find that this factor explains the growth of aggregate consumption, helps to price important stock portfolios, and carries significant risk premium. Our empirical results suggest the existence of technology risk in the cross-section of stock returns. © 2009 Elsevier B.V. All rights reserved. | en_HK |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin | en_HK |
dc.relation.ispartof | Journal of Empirical Finance | en_HK |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in <Journal Of Empirical Finance>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 17, ISSUE 1, (2010)] DOI 10.1016/j.jempfin.2009.08.001 | - |
dc.subject | Factor models | en_HK |
dc.subject | Patents | en_HK |
dc.subject | Technological innovations | en_HK |
dc.subject | Tracking portfolios | en_HK |
dc.title | Technology prospects and the cross-section of stock returns | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Hsu, PH: paulhsu@hku.hk | en_HK |
dc.identifier.authority | Hsu, PH=rp01553 | en_HK |
dc.description.nature | preprint | en_US |
dc.identifier.doi | 10.1016/j.jempfin.2009.08.001 | en_HK |
dc.identifier.scopus | eid_2-s2.0-71349087496 | en_HK |
dc.identifier.hkuros | 210273 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-71349087496&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 17 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 39 | en_HK |
dc.identifier.epage | 53 | en_HK |
dc.identifier.isi | WOS:000273908200003 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.ssrn | 1104387 | - |
dc.identifier.scopusauthorid | Hsu, PH=8974031100 | en_HK |
dc.identifier.scopusauthorid | Huang, D=36070578200 | en_HK |
dc.identifier.citeulike | 5629509 | - |
dc.identifier.issnl | 0927-5398 | - |